September 1, 2009
Journal Articles
Complimentary CONTENT
The Myth of Diversification
By: Mark Kritzman, State Street Associates
September 1, 2009
By: Mark Kritzman, State Street Associates
By David B. Chua, Mark Kritzman, and Sebastien Page.
Published in the Journal of Portfolio Management, Fall 2009.
We present empirical results across a wide variety of assets, which reveal that, unlike the theoretical profiles, empirical correlations are significantly asymmetric.
Author Bios
Mark Kritzman
Mark Kritzman is a senior lecturer at MIT Sloan School of Management and a founding partner of State Street Associates
State Street Associates
1. Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010. Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012, 2021, 2023. Harry M. Markowitz Award for Best Paper in the Journal of Investment Management in 2022, 2023. Doriot Award for Best Private Equity Research Paper in 2022.